相关论文: Inference on Extreme Quantiles of Unobserved Indiv…

We consider estimation and inference in panel data models with additive unobserved individual specific heterogeneity in a high dimensional setting. The setting allows the number of time varying regressors to be larger than the sample size.…

This paper considers fixed effects estimation and inference in linear and nonlinear panel data models with random coefficients and endogenous regressors. The quantities of interest -- means, variances, and other moments of the random…

We provide new results for nonparametric identification, estimation, and inference of causal effects using `proxy controls': observables that are noisy but informative proxies for unobserved confounding factors. Our analysis applies to…

The abundance of data produced daily from large variety of sources has boosted the need of novel approaches on causal inference analysis from observational data. Observational data often contain noisy or missing entries. Moreover, causal…

Quantile regression is an increasingly important empirical tool in economics and other sciences for analyzing the impact of a set of regressors on the conditional distribution of an outcome. Extremal quantile regression, or quantile…

We introduce a new approach for estimating the invariant density of a multidimensional diffusion when dealing with high-frequency observations blurred by independent noises. We consider the intermediate regime, where observations occur at…

Quantile regression is an important tool for estimation of conditional quantiles of a response Y given a vector of covariates X. It can be used to measure the effect of covariates not only in the center of a distribution, but also in the…

Various methods have recently been proposed to estimate causal effects with confidence intervals that are uniformly valid over a set of data generating processes when high-dimensional nuisance models are estimated by post-model-selection or…

We propose and implement an approach to inference in linear instrumental variables models which is simultaneously robust and computationally tractable. Inference is based on self-normalization of sample moment conditions, and allows for…

Extreme value applications commonly employ regression techniques to capture cross-sectional heterogeneity or time-variation in the data. Estimation of the parameters of an extreme value regression model is notoriously challenging due to the…

Approximating time-varying unobserved heterogeneity by discrete types has become increasingly popular in economics. Yet, provably valid post-clustering inference for target parameters in models that do not impose an exact group structure is…

Estimation of extreme conditional quantiles is often required for risk assessment of natural hazards in climate and geo-environmental sciences and for quantitative risk management in statistical finance, econometrics, and actuarial…

In this paper, we develop a new and effective approach to nonparametric quantile regression that accommodates ultrahigh-dimensional data arising from spatio-temporal processes. This approach proves advantageous in staving off computational…

We propose a doubly robust approach to characterizing treatment effect heterogeneity in observational studies. We develop a frequentist inferential procedure that utilizes posterior distributions for both the propensity score and outcome…

The estimation of conditional quantiles at extreme tails is of great interest in numerous applications. Various methods that integrate regression analysis with an extrapolation strategy derived from extreme value theory have been proposed…

This paper proposes estimation and inference procedures for the quantiles of individual heterogeneous slope coefficients within panel data. We develop a two-step quantile estimation framework for analyzing heterogeneity in individual…

I develop a new identification strategy for treatment effects when noisy measurements of unobserved confounding factors are available. I use proxy variables to construct a random variable conditional on which treatment variables become…

This work proposes new inference methods for a regression coefficient of interest in a (heterogeneous) quantile regression model. We consider a high-dimensional model where the number of regressors potentially exceeds the sample size but a…

We introduce a novel method for estimating and conducting inference about extreme quantile treatment effects (QTEs) in the presence of endogeneity. Our approach is applicable to a broad range of empirical research designs, including…

We provide an inferential framework to assess variable importance for heterogeneous treatment effects. This assessment is especially useful in high-risk domains such as medicine, where decision makers hesitate to rely on black-box treatment…